The Quantitative Banking Simulation: ALM, Capital & Liquidity Optimisation Masterclass
When rates cycle down, the threat to earnings is not any single risk — it is organisational friction — a bank whose Risk, Treasury and Finance desks work from different assumptions decides slowly at exactly the moment margin defence demands speed.
Format
Classroom
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
As benchmark rates cycle downward, commercial banks face net-interest-margin compression, accelerating IFRS 9 Stage 2 migrations and unforgiving Basel capital and liquidity mandates — and static spreadsheets in siloed functions are no defence. This masterclass is built around a deliberate two-tier design. Days 1 and 2 calibrate the quantitative machinery with heads of ALM, treasury, risk and finance: IRRBB measurement — NII and EVE sensitivity, repricing gaps, behavioural deposit modelling; capital allocation and RWA optimisation under Basel III and IV; IFRS 9 Stage 2 migration dynamics and their P&L consequences; funds transfer pricing discipline; prudential liquidity — LCR, NSFR, buffers, repo mechanics and funding drag; and climate risk integrated into ICAAP. Day 3 is the war-room: the C-suite joins, competing executive teams take charge of a multi-billion-dollar simulated balance sheet on a web-based simulation engine, and three escalating rounds — baseline positioning, sudden rate cuts and curve inversion, then a severe Stage 2 downgrade shock — test whether strategy survives contact with the cycle. Teams defend their capital, liquidity and ROE outcomes before the cohort, and the debrief converts simulation results into balance-sheet actions for the home institution. Delivered as a public executive cohort or in-house, with the engine calibrated to the client bank’s own balance-sheet parameters.
What you will do
Who attends
A two-tier executive design: chief executive, risk, financial, operating and credit officers, board and ALCO members join for the Day 3 war-room; heads of treasury, ALM, risk, credit risk, finance, capital and liquidity management attend all three days; senior risk managers, financial controllers, internal auditors and compliance officers complete the technical bench — from commercial, corporate and investment banks, central banks and financial regulators.
Programme agenda
Built for the decisions no textbook prepares you for
I.Treasury strategy, ALM & executive governance
- The role of Treasury and ALCO in balance-sheet protection — funding strategy, asset pricing, risk limits, escalation
- Alignment across Treasury, Risk, Finance and Internal Audit — one set of assumptions, one story
- Management information and board reporting that carry decisions, not just data
II.IRRBB & net-interest-margin defence
- IRRBB fundamentals and supervisory expectations; NII, EVE and earnings-at-risk analysis
- Repricing gaps, basis risk, yield-curve shifts and structural optionality
- Behavioural modelling of non-maturity deposits and customer repricing under rate cycles
III.Capital allocation, RWA optimisation & IFRS 9 dynamics
- Stage 2 migrations and impairment risk: quantifying the earnings impact of elevated provisioning
- RWA optimisation under Basel III and IV — including regulatory risk-weight incentives used properly
- Funds transfer pricing: the true cost of funds and tenor, allocated across lending, deposit and treasury desks
IV.Prudential liquidity, funding & climate in ICAAP
- Funding mix and cost-of-funds optimisation; buffers, trapped liquidity and reserve adjustments
- Central-bank term repo and liquidity facilities; deposit concentration and behavioural stability under stress
- Climate and sustainability parameters in ICAAP and ILAAP — physical and transition risk on credit portfolios
V.Day 3 — the live balance-sheet war-room
- Competing executive teams — CEO, CRO, CFO, Treasurer — take charge of a multi-billion-dollar simulated balance sheet on the web-based engine
- Three escalating rounds: baseline positioning · sudden rate cuts, curve inversion and liquidity draws · severe Stage 2 downgrade shocks
- Boardroom defence of capital, liquidity and ROE results — then the debrief that turns simulation into an action plan
Frequently asked
Do these programmes cover the Basel III final reforms and the ICAAP/ILAAP cycle?
Yes. The BIZENIUS banking curriculum is built around the Basel III endgame, ICAAP, ILAAP, IRRBB, IFRS 9 provisioning, stress testing and BCBS 239. Participants leave able to quantify the output floor on their own portfolios, write capital and liquidity documents that withstand supervisory review, and defend the numbers to their board.
Are the programmes adapted to regional supervisors such as SAMA, CBUAE or BCEAO?
Casework is built around supervisory documents rather than textbook theory, and faculty include former practitioners who have sat on both sides of an examination. Programmes address the questions SAMA, CBUAE, BCEAO and other home regulators actually put to the desk, and an in-house edition can be tailored to a single jurisdiction.
How do I secure a seat on a banking programme?
Apply for a seat or request the brochure from the programme page. A senior practitioner — not a sales team — responds within one business day, and the brochure arrives with that reply. BIZENIUS runs on enquiry: there is no online checkout.
Can a programme run in-house for our bank?
Every BIZENIUS programme can be delivered in-house, tailored to your balance sheet, your regulator and your data, in English or French. Many institutions start with an open cohort, then commission a private edition for the wider team.
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
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One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.